Have you followed through on all the steps? Also if you have then it can take up to 72 hours for the domain name propagation to take place throughout the internet.

5. To activate your new domain, select the button next to the one you wish to activate and click Update Primary Domain. Your blog will be accessible from both of these domains; the Primary Domain is what actually appears as your domain within the address bar of web browsers.

If you do not see your blog at the new domain immediately, please allow some time for the DNS changes to propagate.

P.S. I'm on the west coast of Canada and the redirect is already operational here. You can watch the process at this link > http://www.whatsmydns.net/
Don't forget - the whole process can take up to 72 hours.

No you aren't missing anything at all. As I said above it can take up to 72 hours for this process to complete. If you have done this then I suggest you find something else to do rather than fretting about it, okay? :)